Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0288
Annualized Std Dev 0.4203
Annualized Sharpe (Rf=0%) -0.0686

Row

Daily Return Statistics

Close
Observations 3497.0000
NAs 1.0000
Minimum -0.2232
Quartile 1 -0.0111
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean -0.0001
Quartile 3 0.0122
Maximum 0.2295
SE Mean 0.0004
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0011
Variance 0.0007
Stdev 0.0265
Skewness -0.0788
Kurtosis 12.2081

Downside Risk

Close
Semi Deviation 0.0191
Gain Deviation 0.0195
Loss Deviation 0.0210
Downside Deviation (MAR=210%) 0.0232
Downside Deviation (Rf=0%) 0.0190
Downside Deviation (0%) 0.0190
Maximum Drawdown 0.8206
Historical VaR (95%) -0.0361
Historical ES (95%) -0.0642
Modified VaR (95%) -0.0374
Modified ES (95%) -0.0419
From Trough To Depth Length To Trough Recovery
2008-05-20 2009-01-20 NA -0.8206 3232 169 NA
2007-12-26 2008-02-08 2008-05-09 -0.1989 94 31 63
2007-07-16 2007-08-16 2007-09-21 -0.1461 49 24 25
2007-12-11 2007-12-17 2007-12-24 -0.0846 10 5 5
2007-11-07 2007-11-21 2007-12-05 -0.0839 20 11 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA 0.9 3.2 -0.1 -0.4 3 2.1 -2.8 0.4 -0.6 5.7
2008 2.4 -2.5 3.8 1.7 1.7 -2.2 -1.5 -0.5 -3.4 0 -13.9 0.4 -14.4
2009 -1.8 0.3 4.4 2.6 7.5 2.3 2.3 -2.9 -2.2 -6.2 3.7 1.4 11.1
2010 3.2 2.4 2.4 -2 -2.3 -1.4 -0.8 3.4 2.2 0.6 2.9 -0.3 10.5
2011 3.3 -1.3 2.2 0.8 -2.4 1.4 0.4 -0.4 -6.5 -4.3 -1.3 1.6 -6.9
2012 3 1.2 0.7 0.3 -2.9 5.5 0.1 0.6 1.8 0.9 1.2 1.7 14.7
2013 0.7 -0.1 -1.2 -1.8 -4.2 0.5 1.9 -0.1 2.3 0.6 0 1.4 -0.2
2014 -0.6 -2.3 0.8 -0.5 -1.9 0.3 0.2 -1.9 -1.8 -1.1 0.3 -5.9 -13.7
2015 -1.3 2.1 4.1 0.9 -3.1 -2.5 -0.8 -7.1 -1.8 1.1 -0.7 1 -8.4
2016 -3.5 3.9 -0.3 0.2 -0.7 1.5 -2.4 0.1 0 0.1 0.5 0.3 -0.6
2017 1 2 -1.7 0.4 -0.7 1.6 -0.4 1.3 1 0.9 -1 0.1 4.6
2018 0.2 0 2.7 -0.7 1.4 1.9 -1 1.6 1.5 1.6 -2 0 7.3
2019 -0.5 0.1 2.1 -1.1 -0.3 1.1 -2.3 0.7 -0.6 2.8 -1 0.5 1.4
2020 -2.5 -4.5 -1.7 -3.3 3 0.8 -0.5 0.6 -0.3 -1.6 2.7 0 -7.5
2021 1.3 2.4 0.9 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart